Testing for jumps in noisy high frequency data
Year of publication: |
2012
|
---|---|
Authors: | Aït-Sahalia, Yacine ; Jacod, Jean ; Li, Jia |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 168.2012, 2, p. 207-222
|
Publisher: |
Elsevier |
Subject: | Semimartingale | Testing for jumps | High frequency data | Market microstructure noise | Pre-averaging |
-
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich, (2013)
-
Li, Jia, (2013)
-
Hautsch, Nikolaus, (2010)
- More ...
-
Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine, (2012)
-
Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine, (2012)
-
Comment on: limit of random measures associated with the increments of a Brownian Semimartingale
Li, Jia, (2018)
- More ...